SS_oil {NFCP}

Crude oil term structure futures data (1990 - 1995)

Description

The SS_oil list object features the approximate weekly observations of Crude Oil (WTI) futures contracts used to develop a two-factor commodity pricing model within the prominent work of Schwartz and Smith (2000) titled: "Short-Term Variations and long-Term Dynamics in Commodity Prices". The two-factor commodity pricing model presented within this study is also included. The SS_oil list object is used extensively within the NFCP package to provide working examples and showcase the features of the package.

Usage

data(SS_oil)

Format

A list Containing eight objects:

contracts

A data frame with 268 rows and 82 columns. Each column represents a Crude Oil futures contract, and each row represents a closing weekly price for that futures contract. Observation dates of the contract object are weekly in frequency from 1990-02-06 to 1995-02-14. Contracts without observations on a particular date are represented as NA.

stitched_futures

Schwartz and Smith (2000) applied stitched contract observation data to estimate commodity pricing models, which are approximated within this object. The stitched_futures object was developed using the stitch_contracts function (see stitch_contracts examples for more details). Contracts were stitched according to the contract numbers specified within the object stitched_TTM. stitched_futures is identical to the futures data made available within the MATLAB program "SchwartzSmithModel" developed by Goodwin (2013).

spot

A data.frame of spot prices of Crude Oil. weekly in frequency from 1990-02-06 to 1995-02-14.

final_trading_days

Named vector listing the final trading days of each observed futures contract within the contracts object. Each element of final_trading_days corresponds to a column of the contracts object. The final trading day of a futures contract is used to calculate the number of business days from a given observation to the maturity of the contract (ie. a contract time to maturity).

contract_maturities

A data frame with identical dimensions to the contracts data frame. This data frame lists the time to maturity of a given futures contract in years at each observation point. This is identical to the number of business days (in years) between the observed date and the final trading day of a particular futures contract. The maturity matrix assumes 262 trading days a year. If the contract is not yet available or has expired, the contract_maturities element is NA.

stitched_TTM

A vector corresponding to the constant time to maturities that was assumed within the original study of Schwartz and Smith (2000).

dt

The discrete time step used to estimate parameters with this data. The time step is 5/262, which represents a weekly frequency of observations where each weekday is a business day (ie. there are no business days on weekends).

two_factor

The crude oil two-factor commodity pricing model parameters presented within the work of Schwartz and Smith (2000). These parameter estimates are prolific, benchmarked within several subsequent publications.

References

Dominice Goodwin (2013). Schwartz-Smith 2-factor model - Parameter estimation (https://www.mathworks.com/matlabcentral/fileexchange/43352-schwartz-smith-2-factor-model-parameter-estimation), MATLAB Central File Exchange. Retrieved November 21, 2020.

Schwartz, E. S., and J. E. Smith, (2000). Short-Term Variations and Long-Term Dynamics in Commodity Prices. Manage. Sci., 46, 893-911.